Well, depending on type of character, either can be better. Arguably, the vampire lord form is more useful, as you can regenerate health, have a greater variety of powers and can change in and out of it at will. Of course, a number of those powers are fueled by magicka, so if you aren't a magic-heavy character you may not find those useful. Conversely, the werewolf form does more damage per strike but much of that raw damage is tied to your stamina pool, so if don't have loads of stamina you are going to be in some trouble.
In terms of RP preference it all depends on what character I am playing. Sometimes I want a werewolf. Sometimes I want a vampire. Sometimes I just want to be a man.
Oh, and confirming that TES werewolves are not immortal. Not that this matters in playing your character. Nobody ages in-game.